| Overall Statistics |
|
Total Trades 785 Average Win 1.06% Average Loss -1.10% Compounding Annual Return 35.755% Drawdown 9.400% Expectancy 0.151 Net Profit 17.310% Sharpe Ratio 1.529 Probabilistic Sharpe Ratio 58.417% Loss Rate 42% Win Rate 58% Profit-Loss Ratio 0.97 Alpha -0.285 Beta 1.803 Annual Standard Deviation 0.24 Annual Variance 0.058 Information Ratio 0.051 Tracking Error 0.109 Treynor Ratio 0.204 Total Fees $785.00 Estimated Strategy Capacity $7800000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Securities;
using static System.DateTime;
using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Securities.Equity;
using QuantConnect.Interfaces;
namespace QuantConnect
{
public class DailyIdentityAlgorithm : QCAlgorithm
{
decimal initial_cash = 10000;
////////////////////////////////////// SPY VARIABLES //////////////////////////////////////////////////
private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
private SimpleMovingAverage _sma_SPY;
private Identity _identity_spy;
private decimal highOfTheDaySpy=0;
private RollingWindow<decimal> SPY_trailing;
private bool trade=false;
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2020, 11 ,24); //Set Start Date
SetEndDate(2021, 12, 27); //Set End Date
initial_cash = 10000;
SetCash(initial_cash);
//////////////////////// Manual Universe Selection ///////////////////////////////////////////////////////////////
////////////////////////////////////// SPY VARIABLES INITIALIZATION //////////////////////////////////////////////////
AddEquity("SPY", Resolution.Minute);
_sma_SPY = SMA("SPY", 60, Resolution.Daily, x => ((TradeBar)x).Volume);
_identity_spy = Identity("SPY", Resolution.Daily, Field.High);
SPY_trailing = new RollingWindow<decimal>(200);
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes before SPY's market close
bool liquidate = Convert.ToBoolean(GetParameter("liquidate"));
if (liquidate = true){
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.BeforeMarketClose("SPY", 10), () => //Don't have to change it for every instrument in the portfolio
{
Liquidate();//Liquidate entire portfolio
});
}
}//closes initialize
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
TradeBars bars = data.Bars;
//////////////////////////// SPY BLOCK ///////////////////////////////////////////////////
if (Portfolio["SPY"].Invested==true){ //block for trailing st
SPY_trailing.Add(Securities["SPY"].Holdings.UnrealizedProfit);
var SPY_trailing_list = new List<Decimal>(200);
if(SPY_trailing.IsReady){
SPY_trailing_list.AddRange(SPY_trailing);
var max = SPY_trailing_list.GetRange(0, 200).Max();
Debug(max);
}
}
if (data.Bars.ContainsKey("SPY") ){
var ticket = LimitOrder("SPY", 10, 5000);
}
}//closes OnData
}
}